Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0022
Annualized Std Dev 0.1618
Annualized Sharpe (Rf=0%) -0.0137

Row

Daily Return Statistics

Close
Observations 4941.0000
NAs 1.0000
Minimum -0.1369
Quartile 1 -0.0038
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0043
Maximum 0.1508
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0102
Skewness -0.1532
Kurtosis 30.4886

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0077
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.6388
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0246
Modified VaR (95%) -0.0109
Modified ES (95%) -0.0109
From Trough To Depth Length To Trough Recovery
2007-05-01 2008-12-15 NA -0.6388 3498 412 NA
2001-08-10 2004-05-10 2005-06-27 -0.1900 973 688 285
2005-09-12 2005-09-26 2005-12-27 -0.0504 75 11 64
2006-03-03 2006-05-18 2006-08-01 -0.0358 105 54 51
2006-11-13 2006-12-15 2006-12-29 -0.0346 33 24 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA 0.1 0.1 -1.3 1.6 0.2 -1.3 -0.6
2002 1.1 1.6 0 1.2 0 0.7 0.5 0.2 0.8 0.2 -0.2 0.7 6.9
2003 0.5 0 0 0.8 -0.3 0.6 1.4 -0.2 0.8 0.4 0.4 -0.3 4.3
2004 0.6 0.3 -0.4 0.9 -0.5 1.3 0.5 0.4 -1.2 0.3 2.3 0.5 5.1
2005 0.3 0.7 0.7 -0.4 0.5 -0.4 0.1 0.4 -0.1 0.4 0.6 -0.9 2
2006 -0.4 0.8 -0.2 0.7 1.2 -0.1 0.4 0.3 0.5 -0.1 0.3 1.1 4.6
2007 -0.1 0.1 0.3 -0.1 0.1 0.9 -1 0.1 0.1 -0.4 1.5 2 3.6
2008 0.4 -0.4 1.3 0.8 -0.3 0.4 0.2 -0.2 2.9 -4.1 2.7 -2.7 0.5
2009 -0.6 0.3 0.8 -0.8 -1.1 -0.3 1.6 1.2 -0.8 -1.7 0.2 0.6 -0.7
2010 0.3 0.7 0.1 -0.5 -0.7 0.3 0 0.4 0.5 0.1 -2 3.2 2.4
2011 1.1 -0.8 0.2 0.6 -0.1 0.1 2.2 -1 0.8 -0.9 0.4 -0.2 2.2
2012 -0.8 0.6 1.3 0.9 0.5 0.8 0 0.4 -0.6 0.7 1 0.7 5.7
2013 -0.4 0.3 -0.1 -0.1 -1.8 0 -1.4 -0.6 0.3 -1.2 0.3 -0.2 -5
2014 1.1 -0.1 -0.1 0.1 -0.4 0.1 0.1 0 1 -0.2 0.2 0.6 2.7
2015 0.7 1.4 0 -0.6 0.5 0.3 0.6 0.4 0.4 0.6 0.3 0 4.8
2016 0.7 -0.5 0.3 0.3 0.9 0.1 0.2 -0.1 0.1 0.3 -1.1 0.1 1.3
2017 -0.1 -0.4 0 0.9 -0.3 0 0.5 0.7 0 0.4 0.6 -0.1 2.2
2018 0.4 -0.5 0.3 -0.2 0.2 0.5 0.5 0.3 0 0.9 0 0.4 2.9
2019 -0.4 0.4 0.5 0.6 0.7 -0.2 0 0.1 0.1 0.1 0.1 -0.2 1.9
2020 0.1 -4.5 -3.5 -0.5 0.5 1.4 0.7 0.4 0.9 0.2 0.5 0.7 -3.2
2021 -0.5 0.4 -0.2 NA NA NA NA NA NA NA NA NA -0.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart